Sparse factor model based on trend filtering.

Jang Ho Kim Woo Chang Kim Frank J. Fabozzi

Published in: Ann. Oper. Res. (2021)

Keyphrases

filtering algorithm
sparse data
adaptive filtering
information filtering
sparse representation
neural network
compressed sensing
compressive sensing
dictionary learning
turning points
linear filtering
filtering process
real time
data driven
high dimensional
bayesian networks
machine learning
data sets